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With the recent proliferation of mobile health technologies, health scientists are increasingly interested in developing just-in-time adaptive interventions (JITAIs), typically delivered via notifications on mobile devices and designed to help users prevent negative health outcomes and to promote the adoption and maintenance of healthy behaviors. A JITAI involves a sequence of decision rules (i.e., treatment policies) that take the user's current context as input and specify whether and what type of intervention should be provided at the moment. In this work, we describe a reinforcement learning (RL) algorithm that continuously learns and improves the treatment policy embedded in the JITAI as data is being collected from the user. This work is motivated by our collaboration on designing an RL algorithm for HeartSteps V2 based on data collected HeartSteps V1. HeartSteps is a physical activity mobile health application …